• glasso

  • Referenced in 347 articles [sw07432]
  • converged precision matrix might not be the inverse of the estimated covariance, and occasionally ... target of estimation is Σ, the covariance matrix, rather than the precision matrix...
  • UTV

  • Referenced in 221 articles [sw05213]
  • type problems with a rank-deficient covariance matrix, and we provide a robust and reliable...
  • CMA-ES

  • Referenced in 100 articles [sw05063]
  • stands for Covariance Matrix Adaptation Evolution Strategy. Evolution strategies (ES) are stochastic, derivative-free methods ... this distribution are represented by a covariance matrix. The covariance matrix adaptation ... method to update the covariance matrix of this distribution. This is particularly useful ... conditioned. Adaptation of the covariance matrix amounts to learning a second order model...
  • ROBPCA

  • Referenced in 58 articles [sw11592]
  • based on the empirical covariance matrix of the data and hence is highly sensitive ... robust scatter matrix such as the minimum covariance determinant or an S-estimator ... combines projection pursuit ideas with robust scatter matrix estimation. ROBPCA yields more accurate estimates...
  • spcov

  • Referenced in 28 articles [sw12271]
  • spcov: Sparse Estimation of a Covariance Matrix. Provides a covariance estimator for multivariate normal data ... Sparse Estimation of a Covariance Matrix,” Biometrika...
  • DSPCA

  • Referenced in 35 articles [sw04804]
  • semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality ... arises in the decomposition of a covariance matrix into sparse factors, and has wide applications...
  • corpor

  • Referenced in 21 articles [sw09381]
  • Stein-type shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations ... positive definite and well-conditioned covariance matrix. In addition to inferring the covariance matrix ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...
  • sandwich

  • Referenced in 27 articles [sw04486]
  • package sandwich: Robust Covariance Matrix Estimators , Model-robust standard error estimators for cross-sectional, time...
  • MIXOR

  • Referenced in 22 articles [sw08990]
  • factor of the random-effects variance-covariance matrix is estimated, along with the effects...
  • multtest

  • Referenced in 20 articles [sw08262]
  • normal with mean zero and variance covariance matrix derived from the vector influence function. Results...
  • QUIC

  • Referenced in 19 articles [sw11795]
  • guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure...
  • tmvtnorm

  • Referenced in 17 articles [sw08073]
  • second moments (i.e. mean and covariance matrix) for the double-truncated multinormal case...
  • corpcor

  • Referenced in 9 articles [sw10199]
  • Stein-type shrinkage estimator for the covariance matrix, with separate shrinkage for variances and correlations ... positive definite and well-conditioned covariance matrix. In addition to inferring the covariance matrix ... variances. The inverse of the covariance and correlation matrix can be efficiently computed, as well...
  • SPECTRODE

  • Referenced in 9 articles [sw13984]
  • limit spectra of sample covariance matrices. Models from random matrix theory (RMT) are increasingly used ... multivariate distribution with a given covariance matrix. Under high-dimensional asymptotics, there is a deterministic ... distribution of eigenvalues of the population covariance matrix (the population spectral distribution ... such as estimation and hypothesis testing for covariance matrices. Our proposal, implemented in open source...
  • FLIPS

  • Referenced in 7 articles [sw00299]
  • error. Usually, the measurement and the theory matrix are given and some statistical information about ... estimate (MAP estimate) and the posteriori covariance matrix of the unknown. If the error ... estimate together with the posteriori covariance matrix are enough to determine it.FLIPS solves the inverse ... theory matrix rows & error variance/error covariance matrix) into FLIPS in small pieces, thus decreasing...
  • leapp

  • Referenced in 8 articles [sw11213]
  • primary covariate vector, an additional known covariates matrix. A two stage analysis is applied...
  • EASY - FIT

  • Referenced in 9 articles [sw05976]
  • intervals for estimated parameters, correlation and covariance matrix, identification of significance levels for estimated parameters...
  • MIXNO

  • Referenced in 8 articles [sw10546]
  • factor of the random-effects variance-covariance matrix is estimated along with the (fixed) effects...
  • ROCKET

  • Referenced in 8 articles [sw30016]
  • estimating parameters in the latent inverse covariance matrix. We establish asymptotic normality of ROCKET...
  • ExaGeoStat

  • Referenced in 6 articles [sw30062]
  • which operates on a large dense covariance matrix. Generated by the parametrizable Matérn covariance function...